Pricing of perpetual Bermudan options

Svetlana Boyarchenko () and S.Z. Levendorskii

Quantitative Finance, 2002, vol. 2, issue 6, pages 432-442

Abstract: We consider perpetual Bermudan options and more general perpetual American options in discrete time. For wide classes of processes and pay-offs, we obtain exact analytical pricing formulae in terms of the factors in the Wiener-Hopf factorization formulae. Under additional conditions on the process, we derive simpler approximate formulae.

Date: 2002
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